CBOE Volatility Index

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CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
mwindow	36
αARCH	0.0657	1.36
βGARCH	0.0862	1.17
γleverage	0.3983	2.01**
λ₁tau intercept	1.4978	0.68
λ₂forecast adj.	0.0313	1.11
λ₃tau persistence	0.8989	7.10***

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0657	1.36
β GARCH Volatility persistence	0.0862	1.17
γ leverage Additional response to negative shocks	0.3983	2.01**
λ₁ tau intercept Baseline long-term coefficient	1.4978	0.68
λ₂ forecast adj. Forecast performance sensitivity	0.0313	1.11
λ₃ tau persistence Long-term factor persistence	0.8989	7.10***

V-Lab

TransMedics Group, Inc. MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other TransMedics Group, Inc. Analyses